Finally got PSCS5 after losing it, when I got a new computer. But when I do this, I get:

I got the vid off youtube from keepvid.com, making it a mp4 file.

PS also accepts avi files...

wat i usually do wen i make gifs is, i first DL a clip of YT or w/e, the convert it to wmv file type, then i load the video up into windows movie maker, chopping up the video into the exact frames i want..then i save the edited clip as an avi file

then i load tht avi file into PS using the import video option

and save it as a gif using the same steps Draztik Rhymez posted ..this process is really fast and prob takes me only 10-15mins